Asymmetric spillover from Bitcoin to green and traditional assets: a comparison with gold
Asymmetric spillover from Bitcoin to green and traditional assets: a comparison with gold
This paper studies asymmetric spillovers from Bitcoin to green and traditional assets by using a full distributional framework established by a recently-developed Quantile-on-Quantile approach. The spillovers from gold to the same are further studied to compare the effectiveness of the underlying digital investment shelter of Bitcoin with its traditional counterpart of gold. Statistical evidence indicates that the cross-market spillover features evident asymmetry and non-linearity from three perspectives involving various quantiles of the joint distribution of dependent and independent variables, data in return and volatility, and before/after the COVID-19 pandemic. The investment sheltering role of Bitcoin is examined by its weakly positive, negligible, or even negative dependence with financial assets under different market conditions, while such the role is found to be relatively stronger for green assets compared to that for traditional assets. Moreover, the digital investment shelter is shown to be more effective than the traditional shelter given Bitcoin's weaker or even more negative dependence with both green and traditional financial assets than gold. Additional analyses confirm the robustness of our findings that should be of interest to various stakeholders.
Asymmetric effects, Bitcoin, Green assets, Quantile-on-Quantile method, Traditional assets
1397-1417
Duan, Kun
9f37c2f9-7f41-4c71-9790-16795820e7d6
Zhao, Yanqi
eedf5752-b39c-4e99-a7a6-8241a9b76696
Wang, Zhong
fe914552-33f1-4f0a-b8a1-52b82e8cb89e
Chang, Yujia
ad73f08f-ff83-4820-b2e4-2b6c271e878c
November 2023
Duan, Kun
9f37c2f9-7f41-4c71-9790-16795820e7d6
Zhao, Yanqi
eedf5752-b39c-4e99-a7a6-8241a9b76696
Wang, Zhong
fe914552-33f1-4f0a-b8a1-52b82e8cb89e
Chang, Yujia
ad73f08f-ff83-4820-b2e4-2b6c271e878c
Duan, Kun, Zhao, Yanqi, Wang, Zhong and Chang, Yujia
(2023)
Asymmetric spillover from Bitcoin to green and traditional assets: a comparison with gold.
International Review of Economics and Finance, 88, .
(doi:10.1016/j.iref.2023.06.036).
Abstract
This paper studies asymmetric spillovers from Bitcoin to green and traditional assets by using a full distributional framework established by a recently-developed Quantile-on-Quantile approach. The spillovers from gold to the same are further studied to compare the effectiveness of the underlying digital investment shelter of Bitcoin with its traditional counterpart of gold. Statistical evidence indicates that the cross-market spillover features evident asymmetry and non-linearity from three perspectives involving various quantiles of the joint distribution of dependent and independent variables, data in return and volatility, and before/after the COVID-19 pandemic. The investment sheltering role of Bitcoin is examined by its weakly positive, negligible, or even negative dependence with financial assets under different market conditions, while such the role is found to be relatively stronger for green assets compared to that for traditional assets. Moreover, the digital investment shelter is shown to be more effective than the traditional shelter given Bitcoin's weaker or even more negative dependence with both green and traditional financial assets than gold. Additional analyses confirm the robustness of our findings that should be of interest to various stakeholders.
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More information
Accepted/In Press date: 22 June 2023
e-pub ahead of print date: 3 July 2023
Published date: November 2023
Additional Information:
Funding Information:
Kun Duan gratefully acknowledges the financial supported by the Fundamental Research Funds for the Central Universities HUST : 2023WKYXQN032 , and Huazhong University of Science and Technology Double First-Class Funds for Humanities and Social Sciences .
Keywords:
Asymmetric effects, Bitcoin, Green assets, Quantile-on-Quantile method, Traditional assets
Identifiers
Local EPrints ID: 481240
URI: http://eprints.soton.ac.uk/id/eprint/481240
ISSN: 1059-0560
PURE UUID: 606628c5-25e6-4bf2-8283-c6f6a41f0392
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Date deposited: 21 Aug 2023 16:37
Last modified: 17 Mar 2024 13:26
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Author:
Yanqi Zhao
Author:
Yujia Chang
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